Returns to Style using Style Research’s Markets Analyzer Asia Pacific x Japan End February 2011

International Experience Style Investing works Value and Small Cap works long term Best Value Markets – Japan and Korea Most markets have small cap premium High beta stocks do not generally perform well

Overview Value works long term – like in other markets – EBITDA best over 10 years – 4.1% pa xs return Small cap performs better than large cap – Like other markets High Beta does not work – like other markets Nothing works consistently – Top 10 inconsistent over different time periods

Approach Benchmark = market – All stocks with market cap of USD 100 million Analysis after country & sector adjustment – Factor screen within countries and sectors – Eliminates country and sector bias Rebalanced every 6 months – Repriced every month – Includes dividends

Value

Growth

Other

Quality

Returns to Style – last 10 years Quality and Value works! SA, annualised

10 year XS returns

Weight: Market Cap, Rebal 6 mths 4.0% pa

Weight: Market Cap, Rebal 3 mths 4.6% pa

Weight: Earnings, Rebal 6 mths 8.5% pa

overview Value works long term – like in other markets – EBITDA best over 10 years Small cap works better than large cap – Like other markets High Beta does not work – like other markets Nothing works consistently – Top 10 inconsistent over different time periods – Rebalance and weighting schemes make a difference